Opening mechanisms play a crucial role in information aggregation following the overnight nontrading period. This article examines the process of price discovery at the New York Stock Exchange single-price opening auction. We develop a theoretical model to explain the determinants of the opening...

If liquidity is priced, as suggested by Amihud and Mendelson (1986) and Acharya and Pedersen (2004), shareholders of firms that experience drastic declines in liquidity should experience a significant decline in their wealth. We first hypothesize and confirm that an involuntary delisting is...

We examine the effect of decimalization on institutional investors using proprietary data. In particular, we examine the time and the number of trades it takes to execute a given trading decision, as well as the price impact of these trades. We use three different benchmarks to determine the...

We examine 1,098 Nasdaq firms delisted in 1999-2002 that subsequently traded in the OTC Bulletin Board and/or the Pink Sheets. Market quality deteriorates significantly after delisting: share volume declines by two-thirds; quoted spreads almost triple from 12.1 to 33.9 percent; and effective...

Every year only a small fraction of Nasdaq firms that are eligible to move to the NYSE actually choose to move. This is surprising as prior literature documents significant gains to listing on NYSE. Gains in visibility and liquidity associated with a move to NYSE reduce the firm's cost of...

We examine the impact of geographical proximity on the acquisition decisions of US public firms over the period 1990-2003. Transactions where the acquirer and target firms are located within 100 km of each other are classified as local transactions. We find that acquirer returns in local...